Model-based approach for scenario design: stress test severity and banks' resiliency

DOI10.1080/14697688.2022.2090420zbMath1500.91145OpenAlexW4284894745MaRDI QIDQ5041674

Lorenzo Prosperi, Giuseppe Lusignani, Paolo Nicola Barbieri, Lea Zicchino

Publication date: 14 October 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2090420

zbMATH Keywords

forecastingBayesian VARbanking systembank stress testsscenario analysis \& design

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45)

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